Fuzzy probability distribution with VaR constraint for portfolio selection
نویسندگان
چکیده
This work aims at comparing two models of fuzzy distribution: Normal and Laplace, whenever they are inside the context of possibilistic mean-variance model described by Li et al. in [6], where fuzzy Normal distribution is used. We propose to make a comparison using their model, but instead we apply fuzzy Laplace distribution. We also demonstrate the theorems which are necessary for the inclusion of these distributions to the model proposed by Li et al. So, we evaluate the behavior of this model when these distribution functions are changed and we also vary the VaR (Value at Risk). For financial analysts it is very important having other distributions as parameters, regarding the volatility of the stock market due to the behavior of financial market.
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